Trend-Following Backtester · Guide · backtest 한국어
equity · KR
CJ ENM backtest
10 trend-following strategies were compared on the full daily history of CJ ENM. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 6.4%, MDD -40.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -3.3%, drawdown -93.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 10.3%, MDD -47.0%, Sharpe 0.57, 19% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 13.6%p higher than buy and hold, while drawdown improves by 46.3%p (CAGR 6.4%, MDD -40.2%, exposure 7%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=40, k=2.8 |
10.3% | -47.0% | 0.57 | 0.22 | 13.6x | 64 | 19% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=10, mult=3.9 |
8.9% | -47.1% | 0.54 | 0.19 | 9.7x | 38 | 14% |
| ADX / DI 방향성 period=22, threshold=33 |
6.4% | -40.2% | 0.49 | 0.16 | 5.2x | 30 | 7% |
| Donchian 채널 돌파 entryN=95, exitN=49 |
8.6% | -53.6% | 0.45 | 0.16 | 9.0x | 38 | 38% |
| SMA 크로스오버 fast=35, slow=161 |
8.0% | -67.9% | 0.41 | 0.12 | 7.8x | 48 | 48% |
| Supertrend period=9, mult=4.1 |
7.9% | -70.0% | 0.39 | 0.11 | 7.5x | 99 | 53% |
| EMA 크로스오버 fast=6, slow=156 |
6.7% | -63.3% | 0.37 | 0.11 | 5.6x | 88 | 46% |
| MACD fast=17, slow=55, signal=23 |
5.7% | -89.8% | 0.33 | 0.06 | 4.4x | 247 | 53% |
| ROC 모멘텀 n=95, threshold=0.01 |
5.2% | -77.4% | 0.32 | 0.07 | 3.9x | 254 | 47% |
| Parabolic SAR step=0.005, maxStep=0.34 |
2.4% | -86.9% | 0.23 | 0.03 | 1.9x | 215 | 51% |
| Buy and hold | -3.3% | -93.2% | 0.15 | -0.04 | 0.4x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 40-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 40-day middle average